Capital Protected Series 1 and 2
Capital Protected Series 1 (“Series 1”) offers 100% capital protection at Maturity with the potential to receive an Uncapped Performance Coupon at Maturity dependent on a 130% Internal Gearing Rate applied to the performance of the Macquarie MQCP900F Index adjusted for changes in the AUD/USD exchange rate during the Investment Term.
Capital Protected Series 2 (“Series 2”) offers 95% capital protection at Maturity with the potential to receive an Uncapped Performance Coupon at Maturity dependent on a 200% Internal Gearing Rate applied to the performance of the Macquarie MQCP900F Index adjusted for changes in the AUD/USD exchange rate during the Investment Term. The index performance for Series 2, multiplied by the Internal Gearing Rate and adjusted for changes AUD/USD exchange rate, needs to be at least +5% by maturity in order for investors to receive at least 100% return of capital at maturity.
A Summary of the key features:
The Macquarie MQCP900F Index
The Index is comprised of a basket of diversified commodity carry strategies, incorporating 10 strategies across four risk premia factors. The Index utilises a static weighting scheme based on the inverse volatility of each factor to determine the weight of each component in the basket before applying a 5% volatility control mechanism.
The key features of the Index include:
- Alternative source of return: The Index captures the investment return of 10 strategies across four risk premia factors;
- Long/Short: The component indices have a combination of both long and short exposures. As such, they have the ability to generate positive returns irrespective of the direction of the relevant underling market (however this does not mean that the Index return will be positive);
- Low Correlation to Global Equities: As at 31 July 2024 the Index has exhibited a low correlation to global equities; and
- Pricing efficiency: The Index has been designed to allow efficient pricing of structured products such as Sequoia Capital Protected Series 1 & 2.
The Macquarie MQCP900F Index is a fixed weight basket tracking the following underlying risk premia strategies.
The 5% volatility control mechanism is a technique which dynamically adjusts exposure to the underlying 10 strategies based on the prevailing level of volatility. This potentially provides investors with more stable performance and reduced drawdowns whilst enabling a lower cost of hedging for the Issuer thereby enabling a lower interest rate.
If the recent volatility of the underlying portfolio exceeds 5%, the target exposure will be less than 100%, and the residual weight will be uninvested. If the recent volatility of the underlying portfolio of strategies is below 5%, the target exposure to underlying portfolio of strategies will be more than 100%, subject to max. leverage level of 400%. The weightings listed above are applicable to the invested portion of the Index. The index also includes a fee of 2% p.a. which is deducted from the performance of the underlying 10 strategies, after applying the internal leverage inside the index (max 400%), when calculating the index returns.
More information on Capital Protected Series 1 and 2 can be obtained by downloading the IM.